ly2023-08-12 17:06:29
老师,您好,有多少种overlay,除了外汇overlay其它都是啥意思,谢谢啦/题干Regulas Funds Invests in a combination of global equity securities from 5–10 different countries. Portfolio weights are adjusted to take advantage of companies that appear to have the best near-term growth prospects.问题:Using Exhibit 1 and the equity selection process of Regulas Funds, the strategy will most likely benefit from: a portfolio overlay. a new benchmark. using annual rebalancing.
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开开2023-08-13 11:04:21
同学你好,
权益中的overlay有:
1、Completion overlay: 当股票组合出现了敞口的偏离(diverged from its proper exposure)时,使用衍生品调节风险敞口回到原有的水平
2、Rebalancing overlay: 使用衍生品调节股票组合中成份股的权重
3、Currency overlay: 如果股票组合中存在外币资产,可使用衍生品对冲汇率风险
不过本题提到了fund does tend to suffer in performance when exchange rates are volatile,因此的这个portfolio overlay应该就是currency overlay,用来对冲外汇风险的。
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